Horizon Date
Table of Contents
Summary
The horizon date (also curve date) is the reference date from which
every tenor in a
term structure is computed —
all tenor arithmetic (O/N, 1W, 5Y, …) starts here. It is not
necessarily today: a term structure can be constructed or reviewed as of
any business date. This is a distinct concept from the reval date —
covered in Valuation spot date
and overnight — which the horizon date usually, but not always, coincides
with; see below for the distinction.
Detail
Definition
The horizon date anchors every tenor calculation for a given term
structure: O/N is horizon date to next business day, Spot is horizon
date plus spot days, 1Y is
twelve calendar months off spot (for rate curves) or off the horizon date
itself (for vol surfaces) — see
Tenor for the full rates-vs-vols
distinction this produces. Every term structure has exactly one horizon
date; every tenor point within that term structure is expressed relative
to it, never to another tenor point directly.
Horizon date vs. reval date
- Horizon date: the reference date a term structure's tenor calculations are anchored to.
- Reval date: the date at which a valuation is performed — "normally today," but explicitly not necessarily so (see Valuation spot date and overnight).
In the common case, a term structure is built with its horizon date set to the current reval date, so the two coincide and the distinction is easy to overlook. They diverge whenever a term structure is reviewed or reconstructed as of a date other than the valuation run currently in progress — for example, inspecting a historical curve snapshot during a valuation dated today: the horizon date moves to the historical date while the reval date stays today. Keeping the two concepts named separately avoids conflating "when the curve is anchored" with "when the valuation is being performed."
See also
- Term Structures and Tenors — the hub.
- Tenor — the labels this date anchors.
- Term Structure — the structure a horizon date belongs to.
- Valuation spot date and overnight — reval date, spot date, and valuation spot date.
- FX spot date and settlement — spot days, the input to the
Spottenor.